Aside

Contact

Language Skills

R
Matlab
Stata
Python
NA
English (business fluent)
German (B1.1)
Chinese, Mandarin (native)

Main

Shih-Sheng Chang

Education

MSc Candidate, Quantitative Economics

Christian-Albrechts-Universität zu Kiel

Kiel, Germany

Current - 2019

  • Provisional Grade: 1.3 in German scale
  • Focused on statistics, econometrics, and statistical learning

MSc, Quantitative Finance

Christian-Albrechts-Universität zu Kiel

Kiel, Germany

2021 - 2018

  • Overall Grade: 1.6 in German scale
  • Thesis: Multi-Asset Option Pricing under the Bates Model
  • Focused on derivative pricing, risk management, and financial engineering

BSc, Quantitative Finance (minor Economics)

National Tsing Hua University

Hsinchu, Taiwan

2018 - 2015

  • Overall GPA: 4.22/4.3 (equivalent to 1.0 in German scale)

Study in Mathematics

National Central University

Taoyuan, Taiwan

2015 - 2014

  • Overall Average: 83/100




Research Experience

“I was simply amazed by how he raised quite a few essential questions and solved them with and sometimes without his teammates’ help.” — Supervisor

Student Research Assistant

Chair Prof. Dr. Ching-Fan Chung’s Lab

National Tsing Hua University

2018 - 2017

  • Cleaned and analyzed large data sets with Excel and R using data mining methods to construct statistical models
  • Developed econometric models to quantify the economic factors in global stock and bond markets
  • Mainly related to Receiver Operating Characteristic analysis, variable ordinalization, logistic regression, stepwise regression, credit scoring, and model assessment





Industry Experience

“His logical and cordial manner greatly speed the project progress, since he could mitigate the gap of different parties’ opinions by creative ideas accompanied with satisfactory statistical results.” — Supervisor

Research Assistant Intern

Eastspring Investments, Asset Management Company of Prudential plc (UK)

Taipei, Taiwan

2018 - 2017

  • Industry-University Cooperative Research Project with Prof. Dr. Ching-Fan Chung’s Lab
  • Analyzed strategies of quantitative global asset allocation to assist investment decision and product development
  • Built R Shiny dashboards to visualize the model performance and backtesting results




Honor Awards

Academic Achievement Award

~ 300 EUR

National Tsing Hua University

2018 - 2015

  • Five times awarded
  • Top 5% of the class in the semester

Academic Achievement Award

~ 150 EUR

National Central University

2015 - 2014

  • Top 5% of the class in the semester




Works on Github

Multi-Step-Ahead Analytic Moments of Mixed Normal GARCH(1,1)

N/A

N/A

2021 - 2021

  • Codes of the multi-step-ahead analytic moments of Mixed Normal GARCH(1,1) model derived by Haas (2019)
  • Applied to the method of Alexander et al. (2013) for computing multi-step-ahead risk estimates

Bates Multi-Asset Quadratic Exponential (MQE) Scheme

N/A

N/A

2021 - 2020

  • Extended the Heston MQE scheme proposed by de Innocentis et al. (2016) to the Bates (1996) stochastic-volatility jump-diffusion model
  • Along with applications of multi-asset option pricing